Thyssenkrupp (Germany) Market Value
| TKA1 Stock | 4.00 0.04 0.99% |
| Symbol | Thyssenkrupp |
Thyssenkrupp 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Thyssenkrupp's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Thyssenkrupp.
| 11/18/2024 |
| 12/18/2024 |
If you would invest 0.00 in Thyssenkrupp on November 18, 2024 and sell it all today you would earn a total of 0.00 from holding thyssenkrupp AG or generate 0.0% return on investment in Thyssenkrupp over 30 days. Thyssenkrupp is related to or competes with Thyssenkrupp, Thyssenkrupp, and Mueller Industries. More
Thyssenkrupp Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Thyssenkrupp's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess thyssenkrupp AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.12 | |||
| Information Ratio | 0.1416 | |||
| Maximum Drawdown | 20.36 | |||
| Value At Risk | (4.82) | |||
| Potential Upside | 9.09 |
Thyssenkrupp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thyssenkrupp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thyssenkrupp's standard deviation. In reality, there are many statistical measures that can use Thyssenkrupp historical prices to predict the future Thyssenkrupp's volatility.| Risk Adjusted Performance | 0.1228 | |||
| Jensen Alpha | 0.5954 | |||
| Total Risk Alpha | 0.3119 | |||
| Sortino Ratio | 0.1859 | |||
| Treynor Ratio | 0.8526 |
thyssenkrupp AG Backtested Returns
Thyssenkrupp appears to be unstable, given 3 months investment horizon. thyssenkrupp AG owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. By inspecting Thyssenkrupp's technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please review Thyssenkrupp's Semi Deviation of 2.7, coefficient of variation of 632.64, and Risk Adjusted Performance of 0.1228 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Thyssenkrupp holds a performance score of 9. The entity has a beta of 0.75, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Thyssenkrupp's returns are expected to increase less than the market. However, during the bear market, the loss of holding Thyssenkrupp is expected to be smaller as well. Please check Thyssenkrupp's value at risk, downside variance, expected short fall, as well as the relationship between the potential upside and semi variance , to make a quick decision on whether Thyssenkrupp's existing price patterns will revert.
Auto-correlation | 0.29 |
Poor predictability
thyssenkrupp AG has poor predictability. Overlapping area represents the amount of predictability between Thyssenkrupp time series from 18th of November 2024 to 3rd of December 2024 and 3rd of December 2024 to 18th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of thyssenkrupp AG price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Thyssenkrupp price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
thyssenkrupp AG lagged returns against current returns
Autocorrelation, which is Thyssenkrupp stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Thyssenkrupp's stock expected returns. We can calculate the autocorrelation of Thyssenkrupp returns to help us make a trade decision. For example, suppose you find that Thyssenkrupp has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
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Thyssenkrupp regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Thyssenkrupp stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thyssenkrupp stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Thyssenkrupp stock over time.
Current vs Lagged Prices |
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Thyssenkrupp Lagged Returns
When evaluating Thyssenkrupp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thyssenkrupp stock have on its future price. Thyssenkrupp autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Thyssenkrupp autocorrelation shows the relationship between Thyssenkrupp stock current value and its past values and can show if there is a momentum factor associated with investing in thyssenkrupp AG.
Regressed Prices |
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Thematic Opportunities
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Additional Tools for Thyssenkrupp Stock Analysis
When running Thyssenkrupp's price analysis, check to measure Thyssenkrupp's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Thyssenkrupp is operating at the current time. Most of Thyssenkrupp's value examination focuses on studying past and present price action to predict the probability of Thyssenkrupp's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Thyssenkrupp's price. Additionally, you may evaluate how the addition of Thyssenkrupp to your portfolios can decrease your overall portfolio volatility.